private void Form1_Load(object sender, EventArgs e)
{
try
{
session = Session.getInstance();
XmlSerializer xs = new XmlSerializer(typeof(Session));
using (Stream str = File.OpenRead(this.Config))
session = (Session)xs.Deserialize(str);
procSpread = SpreadProc.getInstance();
procSpread.OnUpdate += new EventHandler <UpdateEventArgs>(procSpread_OnUpdate);
procStrategy = StrategyProc.getInstance(session.spread);
//procStrategy.OnZscoreEvt += this.OnZscore;
pgInstrumentA.SelectedObject = session.instrumentA;
pgInstrumentB.SelectedObject = session.instrumentB;
pgSpread.SelectedObject = session.spread;
}
catch (Exception ex) {
MessageBox.Show(ex.Message);
}
}
private StrategyProc(Spread spread)
{
this.spread = spread;
orders = new List <SpreadOrder>();
lastfill = new Dictionary <string, double>();
closeouts = new Dictionary <string, Thread>();
offOrders = new Dictionary <string, Order>();
fillbugs = new Dictionary <string, SpreadOrder>();
scratchLegs = new Queue <Order>();
procSpread = SpreadProc.getInstance();
procSpread.OnFill += this.OnFill;
procSpread.OnUpdate += this.OnUpdate;
}
public Zscore(Spread spread)
{
procSpread = SpreadProc.getInstance();
this.tickers = new string[] { procSpread.productOne.Product
, procSpread.productTwo.Product };
this.multipliers = new double[] { procSpread.productOne.InstrumentMultiplier
, procSpread.productTwo.InstrumentMultiplier };
this.ratio = new int[] { procSpread.productOne.Size, procSpread.productTwo.Size };
market = Market.getInstance(tickers);
this.spreads = new List <Quote>();
this.zslist = new List <double>();
this.threshold = spread.Threshold;
this.trendfollow = spread.TrendFollow;
this.pricelength = spread.PriceLength;
this.signame = spread.Signal;
this.signame = signame.ToUpper();
}